Financial theory applied to portfolios selection

The scope of this book is to explore and analyze the multicriteria models in particular the application of ELECTRE III methodology in order to construct defensive portfolios in a buy and hold strategy where all criteria and alternatives are equally weighed using financial ratios (ROA ROE FA GL and RL). So being we firstly selected shares trading in PSI-Geral from 1999 to 2011 and then an initial/historical period were defined where eight portfolios were established one for each period and a follow-up period considering one two and three years holding. By conducting a descriptive analysis to each portfolio individually considering all periods and a statistical analysis only to follow-up periods we compare profitabilities and Sharpe’s index means calculated to ELECTRE III CAPM and PSI-20 TR. In the specific case of statistical analysis we conducted parametric (t-student and ANOVA one-way tests) and nonparametric tests (Kruskal-Wallis and Mann-Whitney tests) subdivided into two analysis: a unit sample analysis from 2005 to 2011; and a two sample analysis one from 2005 to 2007 and another one from 2008 to 2011.